Daniele Massacci : Citation Profile

Are you Daniele Massacci?

King's College London

4

H index

1

i10 index

31

Citations

RESEARCH PRODUCTION:

8

Articles

2

Papers

RESEARCH ACTIVITY:

   8 years (2012 - 2020). See details.
   Cites by year: 3
   Journals where Daniele Massacci has often published
   Relations with other researchers
   Recent citing documents: 8.    Total self citations: 3 (8.82 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma1104
   Updated: 2021-03-01    RAS profile: 2020-12-15    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Daniele Massacci.

Is cited by:

Barigozzi, Matteo (6)

Hallin, Marc (5)

Hotta, Luiz (4)

Trucíos, Carlos (4)

Valls Pereira, Pedro (4)

Schwaab, Bernd (2)

Lucas, Andre (2)

Leppin, Julian (2)

Perron, Pierre (2)

Reitz, Stefan (2)

Leidl, Reiner (1)

Cites to:

Hansen, Bruce (10)

Timmermann, Allan (9)

Forni, Mario (8)

Lippi, Marco (8)

Hallin, Marc (7)

Ng, Serena (7)

bloom, nicholas (6)

Perez Quiros, Gabriel (6)

Diebold, Francis (6)

Bollerslev, Tim (6)

Watson, Mark (6)

Main data

Where Daniele Massacci has published?

Journals with more than one article published# docs
Economics Letters3

Recent works citing Daniele Massacci (2021 and 2020)

YearTitle of citing document
2020Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786.

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2020Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103.

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2021Testing and Modelling Time Series with Time Varying Tails. (2021). Palumbo, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2111.

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2020Estimation and inference of change points in high-dimensional factor models. (2020). Han, XU ; Bai, Jushan ; Shi, Yutang . In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:66-100.

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2020Sequential testing for structural stability in approximate factor models. (2020). Trapani, Lorenzo ; Barigozzi, Matteo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:8:p:5149-5187.

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2020Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting. (2020). Valls Pereira, Pedro ; Hallin, Marc ; Trucios, Carlos Cesar ; Hotta, Luiz Koodi. In: Textos para discussão. RePEc:fgv:eesptd:521.

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2020Another look into the factor model black box: factors interpretation and structural (in)stability. (2019). Doz, Catherine ; Despois, Thomas. In: PSE Working Papers. RePEc:hal:psewpa:halshs-02235543.

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2020Another look into the factor model black box: factor interpretation and structural (in)stability. (2020). Doz, Catherine ; Despois, Thomas. In: Working Papers. RePEc:hal:wpaper:halshs-02235543.

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Works by Daniele Massacci:

YearTitleTypeCited
2019Unstable Diffusion Indexes: With an Application to Bond Risk Premia In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article0
2018Liquidity resilience in the UK gilt futures market: evidence from the order book In: Bank of England working papers.
[Full Text][Citation analysis]		paper1
2014A two-regime threshold model with conditional skewed Student t distributions for stock returns In: Economic Modelling.
[Full Text][Citation analysis]		article1
2012A simple test for linearity against exponential smooth transition models with endogenous variables In: Economics Letters.
[Full Text][Citation analysis]		article0
2013A switching model with flexible threshold variable: With an application to nonlinear dynamics in stock returns In: Economics Letters.
[Full Text][Citation analysis]		article2
2013A variable addition test for exogeneity in structural threshold models In: Economics Letters.
[Full Text][Citation analysis]		article0
2017Least squares estimation of large dimensional threshold factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article12
2017Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness In: Management Science.
[Full Text][Citation analysis]		article5
2020Forecasting Stock Returns with Large Dimensional Factor Models In: Working Papers.
[Full Text][Citation analysis]		paper5
2015Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance In: Journal of Forecasting.
[Full Text][Citation analysis]		article5

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